2 papers
q-bio.PE2022
Dynamic Survival Analysis for non-Markovian Epidemic Models
Francesco Di Lauro, Wasiur R. KhudaBukhsh, Istvan Z. Kiss +3
We present a new method for analyzing stochastic epidemic models under minimal assumptions. The method, dubbed DSA, is based on a simple yet powerful observation, namely that popul…
q-fin.PR2021
Valuation of European Options under an Uncertain Market Price of Volatility Risk
Bartosz Jaroszkowski, Max Jensen
We propose a model to quantify the effect of parameter uncertainty on the option price in the Heston model. More precisely, we present a Hamilton-Jacobi-Bellman framework which all…